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Re: st: bootstrap a test linear hypotheses

From   Maarten Buis <>
Subject   Re: st: bootstrap a test linear hypotheses
Date   Wed, 5 Jun 2013 09:33:30 +0200

On Wed, Jun 5, 2013 at 1:23 AM, Thierry Hounsa wrote:
> Hi all.. How to bootstrap a test linear hypothese after the estimation of a Vectorial Autoregressive Model?
> Indeed, I perform these commands:
> *** estimate a VAR of 2 lags on the variables Y1 and Y2***
> var Y1 Y2
> *** Perform a test on the coefficients of Y1***
> test ([Y1]: L.Y2 L2.Y2)
> *** bootstrap the previous test***
> bootstrap, reps(50) : test ([Y1]: L.Y2 L2.Y2)

Nick already pointed out one problem with your idea. I will add to
your problems by pointing out another...

-bootstrap- is for estimation commands and not for testing. Bootstrap
tests exist in the literature, but they are not (directly) implemented
via the -bootstrap- command. There is a section in the manual entry of
-bootstrap- on how to do bootstrap testing. You can also look at the
code of -asl_norm- and -propcnsasl-, which you can download by typing
in Stata -ssc install asl_norm- and -ssc install propcnsreg-, for
examples of how bootstrap tests can be implemented in Stata. An easy
way to look at code is to type in Stata -viewsource propcnsasl.ado-
after you have install the -propcnsreg- package.

Also see: (Davison & Hinkley 1997, chapter 4) and (Efron and
Tibshirani 1993, chapter 16). They are both good introductory teksts
on the bootstrap, but it pays to read both of them as they complement
one another surprisingly well.

Hope this helps,

A.C. Davison & D.V. Hinkley (1997) Bootstrap Methods and their
Application. Cambridge: Cambridge University Press.

B. Efron & R.J. Tibshirani (1993) An Introduction to the Bootstrap.
Boca Raton: Chapman & Hall/CRC.

Maarten L. Buis
Reichpietschufer 50
10785 Berlin
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